nautilus_model/python/instruments/
futures_contract.rs

1// -------------------------------------------------------------------------------------------------
2//  Copyright (C) 2015-2025 Nautech Systems Pty Ltd. All rights reserved.
3//  https://nautechsystems.io
4//
5//  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
6//  You may not use this file except in compliance with the License.
7//  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
8//
9//  Unless required by applicable law or agreed to in writing, software
10//  distributed under the License is distributed on an "AS IS" BASIS,
11//  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
12//  See the License for the specific language governing permissions and
13//  limitations under the License.
14// -------------------------------------------------------------------------------------------------
15
16use std::{
17    collections::hash_map::DefaultHasher,
18    hash::{Hash, Hasher},
19};
20
21use nautilus_core::python::{serialization::from_dict_pyo3, to_pyvalue_err};
22use pyo3::{basic::CompareOp, prelude::*, types::PyDict};
23use rust_decimal::Decimal;
24use ustr::Ustr;
25
26use crate::{
27    enums::AssetClass,
28    identifiers::{InstrumentId, Symbol},
29    instruments::FuturesContract,
30    types::{Currency, Price, Quantity},
31};
32
33#[pymethods]
34impl FuturesContract {
35    #[allow(clippy::too_many_arguments)]
36    #[new]
37    #[pyo3(signature = (id, raw_symbol, asset_class, underlying, activation_ns, expiration_ns, currency, price_precision, price_increment, multiplier, lot_size, ts_event, ts_init, max_quantity=None, min_quantity=None, max_price=None, min_price=None, margin_init=None, margin_maint=None, maker_fee=None, taker_fee=None, exchange=None))]
38    fn py_new(
39        id: InstrumentId,
40        raw_symbol: Symbol,
41        asset_class: AssetClass,
42        underlying: String,
43        activation_ns: u64,
44        expiration_ns: u64,
45        currency: Currency,
46        price_precision: u8,
47        price_increment: Price,
48        multiplier: Quantity,
49        lot_size: Quantity,
50        ts_event: u64,
51        ts_init: u64,
52        max_quantity: Option<Quantity>,
53        min_quantity: Option<Quantity>,
54        max_price: Option<Price>,
55        min_price: Option<Price>,
56        margin_init: Option<Decimal>,
57        margin_maint: Option<Decimal>,
58        maker_fee: Option<Decimal>,
59        taker_fee: Option<Decimal>,
60        exchange: Option<String>,
61    ) -> PyResult<Self> {
62        Self::new_checked(
63            id,
64            raw_symbol,
65            asset_class,
66            exchange.map(|x| Ustr::from(&x)),
67            underlying.into(),
68            activation_ns.into(),
69            expiration_ns.into(),
70            currency,
71            price_precision,
72            price_increment,
73            multiplier,
74            lot_size,
75            max_quantity,
76            min_quantity,
77            max_price,
78            min_price,
79            margin_init,
80            margin_maint,
81            maker_fee,
82            taker_fee,
83            ts_event.into(),
84            ts_init.into(),
85        )
86        .map_err(to_pyvalue_err)
87    }
88
89    fn __richcmp__(&self, other: &Self, op: CompareOp, py: Python<'_>) -> Py<PyAny> {
90        match op {
91            CompareOp::Eq => self.eq(other).into_py(py),
92            _ => panic!("Not implemented"),
93        }
94    }
95
96    fn __hash__(&self) -> isize {
97        let mut hasher = DefaultHasher::new();
98        self.hash(&mut hasher);
99        hasher.finish() as isize
100    }
101
102    #[getter]
103    fn type_str(&self) -> &str {
104        stringify!(FuturesContract)
105    }
106
107    #[getter]
108    #[pyo3(name = "id")]
109    fn py_id(&self) -> InstrumentId {
110        self.id
111    }
112
113    #[getter]
114    #[pyo3(name = "raw_symbol")]
115    fn py_raw_symbol(&self) -> Symbol {
116        self.raw_symbol
117    }
118
119    #[getter]
120    #[pyo3(name = "asset_class")]
121    fn py_asset_class(&self) -> AssetClass {
122        self.asset_class
123    }
124
125    #[getter]
126    #[pyo3(name = "exchange")]
127    fn py_exchange(&self) -> Option<String> {
128        self.exchange.map(|e| e.to_string())
129    }
130
131    #[getter]
132    #[pyo3(name = "underlying")]
133    fn py_underlying(&self) -> &str {
134        self.underlying.as_str()
135    }
136
137    #[getter]
138    #[pyo3(name = "activation_ns")]
139    fn py_activation_ns(&self) -> u64 {
140        self.activation_ns.as_u64()
141    }
142
143    #[getter]
144    #[pyo3(name = "expiration_ns")]
145    fn py_expiration_ns(&self) -> u64 {
146        self.expiration_ns.as_u64()
147    }
148
149    #[getter]
150    #[pyo3(name = "currency")]
151    fn py_currency(&self) -> Currency {
152        self.currency
153    }
154
155    #[getter]
156    #[pyo3(name = "price_precision")]
157    fn py_price_precision(&self) -> u8 {
158        self.price_precision
159    }
160
161    #[getter]
162    #[pyo3(name = "price_increment")]
163    fn py_price_increment(&self) -> Price {
164        self.price_increment
165    }
166
167    #[getter]
168    #[pyo3(name = "multiplier")]
169    fn py_multiplier(&self) -> Quantity {
170        self.multiplier
171    }
172
173    #[getter]
174    #[pyo3(name = "lot_size")]
175    fn py_lot_size(&self) -> Quantity {
176        self.lot_size
177    }
178
179    #[getter]
180    #[pyo3(name = "max_quantity")]
181    fn py_max_quantity(&self) -> Option<Quantity> {
182        self.max_quantity
183    }
184
185    #[getter]
186    #[pyo3(name = "min_quantity")]
187    fn py_min_quantity(&self) -> Option<Quantity> {
188        self.min_quantity
189    }
190
191    #[getter]
192    #[pyo3(name = "max_price")]
193    fn py_max_price(&self) -> Option<Price> {
194        self.max_price
195    }
196
197    #[getter]
198    #[pyo3(name = "min_price")]
199    fn py_min_price(&self) -> Option<Price> {
200        self.min_price
201    }
202
203    #[getter]
204    #[pyo3(name = "size_increment")]
205    fn py_size_increment(&self) -> Quantity {
206        self.size_increment
207    }
208
209    #[getter]
210    #[pyo3(name = "size_precision")]
211    fn py_size_precision(&self) -> u8 {
212        self.size_precision
213    }
214
215    #[getter]
216    #[pyo3(name = "ts_event")]
217    fn py_ts_event(&self) -> u64 {
218        self.ts_event.as_u64()
219    }
220
221    #[getter]
222    #[pyo3(name = "ts_init")]
223    fn py_ts_init(&self) -> u64 {
224        self.ts_init.as_u64()
225    }
226
227    #[getter]
228    #[pyo3(name = "margin_init")]
229    fn py_margin_init(&self) -> Decimal {
230        self.margin_init
231    }
232
233    #[getter]
234    #[pyo3(name = "margin_maint")]
235    fn py_margin_maint(&self) -> Decimal {
236        self.margin_maint
237    }
238
239    #[getter]
240    #[pyo3(name = "info")]
241    fn py_info(&self, py: Python<'_>) -> PyResult<PyObject> {
242        Ok(PyDict::new(py).into())
243    }
244
245    #[staticmethod]
246    #[pyo3(name = "from_dict")]
247    fn py_from_dict(py: Python<'_>, values: Py<PyDict>) -> PyResult<Self> {
248        from_dict_pyo3(py, values)
249    }
250
251    #[pyo3(name = "to_dict")]
252    fn py_to_dict(&self, py: Python<'_>) -> PyResult<PyObject> {
253        let dict = PyDict::new(py);
254        dict.set_item("type", stringify!(FuturesContract))?;
255        dict.set_item("id", self.id.to_string())?;
256        dict.set_item("raw_symbol", self.raw_symbol.to_string())?;
257        dict.set_item("asset_class", self.asset_class.to_string())?;
258        dict.set_item("underlying", self.underlying.to_string())?;
259        dict.set_item("activation_ns", self.activation_ns.as_u64())?;
260        dict.set_item("expiration_ns", self.expiration_ns.as_u64())?;
261        dict.set_item("currency", self.currency.code.to_string())?;
262        dict.set_item("price_precision", self.price_precision)?;
263        dict.set_item("price_increment", self.price_increment.to_string())?;
264        dict.set_item("size_increment", self.size_increment.to_string())?;
265        dict.set_item("size_precision", self.size_precision)?;
266        dict.set_item("multiplier", self.multiplier.to_string())?;
267        dict.set_item("lot_size", self.lot_size.to_string())?;
268        dict.set_item("margin_init", self.margin_init.to_string())?;
269        dict.set_item("margin_maint", self.margin_maint.to_string())?;
270        dict.set_item("maker_fee", self.maker_fee.to_string())?;
271        dict.set_item("taker_fee", self.taker_fee.to_string())?;
272        dict.set_item("info", PyDict::new(py))?;
273        dict.set_item("ts_event", self.ts_event.as_u64())?;
274        dict.set_item("ts_init", self.ts_init.as_u64())?;
275        match self.max_quantity {
276            Some(value) => dict.set_item("max_quantity", value.to_string())?,
277            None => dict.set_item("max_quantity", py.None())?,
278        }
279        match self.min_quantity {
280            Some(value) => dict.set_item("min_quantity", value.to_string())?,
281            None => dict.set_item("min_quantity", py.None())?,
282        }
283        match self.max_price {
284            Some(value) => dict.set_item("max_price", value.to_string())?,
285            None => dict.set_item("max_price", py.None())?,
286        }
287        match self.min_price {
288            Some(value) => dict.set_item("min_price", value.to_string())?,
289            None => dict.set_item("min_price", py.None())?,
290        }
291        match self.exchange {
292            Some(value) => dict.set_item("exchange", value.to_string())?,
293            None => dict.set_item("exchange", py.None())?,
294        }
295        Ok(dict.into())
296    }
297}
nautilus_model/python/instruments/futures_contract.rs

nautilus_model/python/instruments/
futures_contract.rs
